Exact Monte Carlo likelihood-based inference for jump-diffusion processes
Author:
Affiliation:
1. Department of Statistics, Universidade Federal de Minas Gerais , Belo Horizonte , Brazil
2. Department of Statistics, University of Warwick , Coventry , UK
Abstract
Funder
FAPEMIG
CNPq
University of Warwick
Royal Society University Research Fellowship
Bayes for Health
Publisher
Oxford University Press (OUP)
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://academic.oup.com/jrsssb/article-pdf/85/3/732/50859775/qkad022.pdf
Reference47 articles.
1. Saddlepoint approximations for continuous-time Markov processes;Aït-Sahalia;Journal of Econometrics,2006
2. A jump diffusion model for the European monetary system;Ball;Journal of International Money and Finance,1993
3. Monte Carlo calculations of the radial distribution functions for a protonelectron plasma;Barker;Australian Journal of Physics,1965
4. Power and bipower variation with stochastic volatility and jumps (with discussion);Barndorff-Nielsen;Journal of Financial Econometrics,2004
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